Federal Register / Vol. 88, No. 230 / Friday, December 1, 2023 / Notices 84021 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 98564 

(Sept. 27, 2023), 88 FR 68188 (‘‘Notice’’). Comments 

on the proposed rule change are available at: 

https://www.sec.gov/comments/sr-nysearca-2023- 

58/srnysearca202358.htm. 

4 15 U.S.C. 78s(b)(2). 

5See Securities Exchange Act Release No. 98947, 

88 FR 81171 (Nov. 21, 2023). The Commission 

designated January 1, 2024, as the date by which 

the Commission shall approve or disapprove, or 

institute proceedings to determine whether to 

disapprove, the proposed rule change. 

6 15 U.S.C. 78s(b)(2)(B). 

7See Notice, supra note 3. 

8The Exchange states that the Commission 

previously approved the listing and trading of the 

Shares pursuant to NYSE Arca Rule 8.200–E, 

Commentary .02, which governs the listing and 

trading of Trust Issued Receipts on the Exchange, 

as shares of the Teucrium Bitcoin Futures Fund. 

See Securities Exchange Act Release No. 34–94620 

(Apr. 6, 2022), 87 FR 21676 (Apr. 12, 2022) (SR– 

NYSEArca–2021–53) (Order Approving a Proposed 

Rule Change, as Modified by Amendment No. 2, To 

List and Trade Shares of the Teucrium Bitcoin 

Futures Fund) (the ‘‘Approval Order’’). See also 

Securities Exchange Act Release No. 92573 (Aug. 5, 

2021), 86 FR 44062 (Aug. 11, 2021) (SR–NYSEArca– 

2021–53) (Notice of Filing of a Proposed Rule 

Change To List and Trade Shares of Teucrium 

Bitcoin Futures Fund Under NYSE Arca Rule 

8.200–E) and Partial Amendment No. 2, available at 

https://www.sec.gov/comments/sr-nysearca-2021- 

53/srnysearca202153-20118884-271701.pdf. 

According to the Exchange, the name of the 

Teucrium Bitcoin Futures Fund was subsequently 

changed to the Hashdex Bitcoin Futures ETF. See 

Notice, 88 FR at 68188. The Exchange states that 

the representations set forth in the Notice supersede 

and replace the representations in the Exchange’s 

prior rule filing relating to the Teucrium Bitcoin 

Futures Fund and Partial Amendment No. 2 thereto. 

See id. at 68188 n.4. 

9See Notice, 88 FR at 68189. The Fund is 

managed and controlled by Toroso Investments LLC 

(‘‘Sponsor’’). See id. at 68188. 

10See id. at 68189. 

11 It is unclear from the filing whether the Fund 

is limited to investing in bitcoin futures contracts 

traded on the Chicago Mercantile Exchange, Inc. 

(‘‘CME’’). 

12See id. at 68190. The Fund will hold a mix of 

spot bitcoin, bitcoin futures contracts, and cash and 

cash equivalents, subject to certain investment 

restrictions. See id. at 68197. 

13See id. at 68197. According to the Exchange, 

EFP transactions are a type of private agreement 

between two parties to trade a futures position for 

the underlying asset. In an EFP transaction, two 

parties exchange equivalent but offsetting positions 

in a bitcoin futures contract and the underlying 

physical bitcoin. In the context of the Fund, these 

transactions will be used to purchase and sell spot 

bitcoin by delivering or receiving the equivalent 

futures position. See id. at 68204. 

14See id. at 68203. According to the Exchange, as 

of the date of the filing, Coinbase Inc. was the only 

bitcoin platform to satisfy this criterion. See id. at 

68203 n.78. 

15See id. at 68206. The Fund’s NAV will include 

any unrealized profit or loss on open bitcoin futures 

contacts and any other credit or debit accruing to 

the Fund but unpaid or not received by the Fund. 

See id. 

16See id. at 68199. This ‘‘futures-based spot 

price’’ methodology is sensitive to both the tenor of 

a bitcoin futures contract and the final settlement 

price for such contract. The calculation produces a 

set of weighting factors, with each factor indicating 

the contribution of the corresponding bitcoin 

futures contract to the estimated current spot price 

of bitcoin. The estimated spot price is the 

component of the result corresponding to a tenor of 

zero days. The Sponsor and Digital Asset Advisor 

will not use data from bitcoin trading platforms or 

directly from spot bitcoin trading activity in 

determining the value of spot bitcoin held by the 

Fund. See id. at 68206. 

17See id. at 68204, 68206. 

18 15 U.S.C. 78s(b)(2)(B). 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–99031; File No. SR– 

NYSEARCA–2023–58] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Order Instituting 

Proceedings To Determine Whether To 

Approve or Disapprove a Proposed 

Rule Change To List and Trade Shares 

of the Hashdex Bitcoin Futures ETF 

Under NYSE Arca Rule 8.500–E (Trust 

Units) 

November 28, 2023. 

On September 22, 2023, NYSE Arca, 

Inc. (‘‘NYSE Arca’’ or ‘‘Exchange’’) filed 

with the Securities and Exchange 

Commission (‘‘Commission’’), pursuant 

to section 19(b)(1) of the Securities 

Exchange Act of 1934 (‘‘Act’’) 1 and Rule 

19b–4 thereunder,2 a proposed rule 

change to list and trade shares 

(‘‘Shares’’) of the Hashdex Bitcoin 

Futures ETF (‘‘Fund’’) under NYSE Arca 

Rule 8.500–E (Trust Units). The 

proposed rule change was published for 

comment in the Federal Register on 

October 3, 2023.3

On November 15, 2023, pursuant to 

section 19(b)(2) of the Act,4 the 

Commission designated a longer period 

within which to approve the proposed 

rule change, disapprove the proposed 

rule change, or institute proceedings to 

determine whether to disapprove the 

proposed rule change.5 This order 

institutes proceedings under section 

19(b)(2)(B) of the Act 6 to determine 

whether to approve or disapprove the 

proposed rule change. 

I. Summary of the Proposal 

As described in more detail in the 

Notice,7 the Exchange proposes to list 

and trade the Shares of the Fund, a 

series of the Tidal Commodities Trust I 

(‘‘Trust’’), under NYSE Arca Rule 8.500– 

E, which governs the listing and trading 

of Trust Units on the Exchange.8

The investment objective of the Fund 

is to have the daily changes in the net 

asset value (‘‘NAV’’) of the Shares 

reflect the daily changes in the price of 

a specified benchmark (‘‘Benchmark’’).9

The Benchmark will be calculated using 

the Nasdaq Bitcoin Reference Price— 

Settlement (‘‘NQBTCS’’), which tracks 

the price of bitcoin.10 The Fund will 

seek to achieve its investment objective 

by investing in bitcoin futures 

contracts 11 as well as in physical 

bitcoin to the extent allowed by the 

Fund’s investment restrictions on spot 

bitcoin.12 The Fund will use the CME’s 

Exchange for Physical 

(‘‘EFP’’) transactions to acquire and 

dispose of spot bitcoin.13 The Fund will 

be subject to investment restrictions on 

spot bitcoin which are currently set at 

100% of the 30-day Average Daily 

Traded Volume on the core bitcoin 

platforms of the NQBTCS that are 

subject to regulatory and reporting rules 

in the United States, including 

companies that are publicly traded in 

the United States.14 The administrator 

of the Fund will calculate the NAV of 

the Fund once each trading day, as of 

the earlier of the close of the New York 

Stock Exchange or 4:00 p.m. Eastern 

Standard Time.15 To determine the 

value of bitcoin futures contracts, the 

Fund’s administrator will use the 

bitcoin futures contract settlement price 

on the exchange on which the contract 

is traded, except that the fair value of 

bitcoin futures contracts may be used 

when bitcoin futures contracts close at 

their price fluctuation limit for the day. 

The value of spot bitcoin held by the 

Fund would be determined by the 

Sponsor and by Hashdex Asset 

Management Ltd. (‘‘Digital Asset 

Adviser’’) in good faith based on a 

methodology that is entirely derived 

from the settlement prices of bitcoin 

futures contracts on the CME and that 

considers all available facts and all 

available information on the valuation 

date.16 When the Fund sells or redeems 

its Shares, it will do so in cash 

transactions with authorized 

participants in blocks of 12,500 

Shares.17

II. Proceedings To Determine Whether 

To Approve or Disapprove SR– 

NYSEARCA–2023–58 and Grounds for 

Disapproval Under Consideration 

The Commission is instituting 

proceedings pursuant to section 

19(b)(2)(B) of the Act 18 to determine 

whether the proposed rule change 

should be approved or disapproved. 

Institution of proceedings is appropriate 

at this time in view of the legal and 

policy issues raised by the proposed 

rule change, as discussed below. 

Institution of proceedings does not 

indicate that the Commission has 

reached any conclusions with respect to 

any of the issues involved. Rather, as 

described below, the Commission seeks 

and encourages interested persons to 

provide comments on the proposed rule 

change. 


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84022 Federal Register / Vol. 88, No. 230 / Friday, December 1, 2023 / Notices 

19 Id. 

20 15 U.S.C. 78f(b)(5). 

21See Notice, 88 FR at 68198–99, 68201 n.74, 

68202–03. 

22See id. at 68197. 

23See id. 

24See id. 

25See id. at 68196. 

26See id. at 68197. 

27See id. at 68197. 

28See, e.g., id. at 68204–06. 

29See id. at 68205. 

30See id. at 68199. 

31See id. at 68199–201. 

32See id. at 68201. 

33See id. at 68201. 

34See, e.g., Notice of Filing of Amendment No. 

3 to, and Order Instituting Proceedings to 

Determine Whether to Approve or Disapprove, a 

Proposed Rule Change to List and Trade Shares of 

the ARK 21Shares Bitcoin ETF under BZX Rule 

14.11(e)(4), Commodity-Based Trust Shares, 

Securities Exchange Act Release No. 98112 (Aug. 

11, 2023), 88 FR 55743 (Aug. 16, 2023) (including 

data from sponsor 21Shares US LLC that purports 

to show correlations of returns across the two-year 

period from January 20, 2021, to February 1, 2023, 

of no less than 92% among certain spot bitcoin 

platforms and between the CME bitcoin futures 

market and such spot bitcoin platforms on an 

hourly basis, and no less than 78% on a minutely 

basis). 

35See id. at 68202. 

36Section 19(b)(2) of the Act, as amended by the 

Securities Acts Amendments of 1975, Public Law 

94–29 (June 4, 1975), grants the Commission 

flexibility to determine what type of proceeding— 

either oral or notice and opportunity for written 

comments—is appropriate for consideration of a 

particular proposal by a self-regulatory 

organization. See Securities Acts Amendments of 

1975, Senate Comm. on Banking, Housing & Urban 

Affairs, S. Rep. No. 75, 94th Cong., 1st Sess. 30 

(1975). 

Pursuant to section 19(b)(2)(B) of the 

Act,19 the Commission is providing 

notice of the grounds for disapproval 

under consideration. The Commission is 

instituting proceedings to allow for 

additional analysis of the proposed rule 

change’s consistency with section 

6(b)(5) of the Act, which requires, 

among other things, that the rules of a 

national securities exchange be 

‘‘designed to prevent fraudulent and 

manipulative acts and practices’’ and 

‘‘to protect investors and the public 

interest.’’ 20

The Commission asks that 

commenters address the sufficiency of 

the Exchange’s statements in support of 

the proposal, which are set forth in the 

Notice, in addition to any other 

comments they may wish to submit 

about the proposed rule change. In 

particular, the Commission seeks 

comment on the following questions 

and asks commenters to submit data 

where appropriate to support their 

views: 

1. What are commenters’ views on 

whether the proposed Fund and Shares 

would be susceptible to manipulation? 

What are commenters’ views generally 

on whether the Exchange’s proposal is 

designed to prevent fraudulent and 

manipulative acts and practices? What 

are commenters’ views generally with 

respect to the liquidity and transparency 

of the bitcoin markets and the bitcoin 

markets’ susceptibility to manipulation? 

2. Based on data and analysis 

provided and the academic research 

cited by the Exchange,21 what are 

commenters views on whether the CME, 

on which CME bitcoin futures trade and 

through which the Fund intends to 

engage in EFP transactions to purchase 

or sell spot bitcoin, represents a 

regulated market of significant size 

related to spot bitcoin? 22 What are 

commenters’ views on whether there is 

a reasonable likelihood that a person 

attempting to manipulate the Shares 

would also have to trade on the CME to 

manipulate the Shares? 23 Do 

commenters agree with the Exchange 

that trading in the Shares would not be 

the predominant influence on prices in 

the CME bitcoin futures market? 24

3. The Exchange states that the Fund 

intends to adopt ‘‘an innovative 

approach to mitigate the risks of fraud 

and manipulation that are unique to the 

Fund’’ by ‘‘structur[ing] the operation of 

the Fund such that the regulated market 

of significant size in relation to the 

Fund is the [CME] because it is the same 

market on which the Fund trades its 

non-cash assets.’’ 25 The Exchange 

further states that the Fund has novel 

features that underscore its significant 

interrelationship with the CME, 

including that the Fund (i) utilizes 

futures-based pricing for spot bitcoin 

such that the NAV calculation for the 

spot bitcoin holdings of the Fund will 

be derived from the CME bitcoin futures 

curve; (ii) is subject to investment 

restrictions on spot bitcoin; (iii) will use 

CME EFP transactions to acquire and 

dispose of spot bitcoin ‘‘instead of 

transactions on unregulated spot 

exchanges’’; and (iv) will utilize only 

cash creations and redemptions.26

Based on the structure and operation of 

the Fund and the Fund’s investments as 

described in the filing, what are 

commenters’ views on whether the CME 

represents a regulated market of 

significant size related to spot bitcoin? 27

4. The Fund will only use CME EFP 

transactions to acquire and dispose of 

spot bitcoin.28 The Exchange states that 

‘‘trading activity in EFP transactions is 

sporadic’’ but that, ‘‘[n]onetheless, the 

Sponsor believes that a large number of 

liquidity providers are ready to execute 

this type of transaction and can provide 

enough liquidity to support the [Fund’s] 

demand.’’ 29 Do commenters agree? Why 

or why not? 

5. The value of spot bitcoin held by 

the Fund would be determined using a 

futures-based spot price methodology 

that is derived from the settlement 

prices of bitcoin futures contracts on the 

CME.30 The Exchange presents data 31

that it states ‘‘strongly suggests that 

[futures-based spot pricing] is a suitable 

choice for the NAV calculation.’’ 32 The 

Exchange states that futures-based spot 

pricing ‘‘could create some level of 

uncertainty due to the potential 

divergences between the [futures-based 

spot price] and the spot prices observed 

in unregulated markets’’ but that 

authorized participants ‘‘will always be 

in a position to hedge their exposure 

using exclusively the [CME bitcoin 

futures market], which will make them 

more likely to provide liquidity to the 

Fund thus making its market price 

converge to its NAV.’’ 33 Do commenters 

agree with the Exchange? Why or why 

not? 

6. Some sponsors of proposed spot 

bitcoin exchange-traded products have 

provided data regarding the correlation 

between certain bitcoin spot markets 

and the CME bitcoin futures market.34

What are commenters’ views on the 

correlation between the bitcoin spot 

market and the CME bitcoin futures 

market? What are commenters’ views on 

the extent to which that correlation 

provides evidence that the CME bitcoin 

futures market is ‘‘significant’’ related to 

spot bitcoin? What are commenters’ 

views on the Sponsor’s own statistical 

analysis of the relationship between 

prices in certain unregulated bitcoin 

markets and prices of CME bitcoin 

futures contracts? 35

III. Procedure: Request for Written 

Comments 

The Commission requests that 

interested persons provide written 

submissions of their views, data, and 

arguments with respect to the issues 

identified above, as well as any other 

concerns they may have with the 

proposal. In particular, the Commission 

invites the written views of interested 

persons concerning whether the 

proposal is consistent with section 

6(b)(5) or any other provision of the Act, 

and the rules and regulations 

thereunder. Although there do not 

appear to be any issues relevant to 

approval or disapproval that would be 

facilitated by an oral presentation of 

views, data, and arguments, the 

Commission will consider, pursuant to 

Rule 19b–4, any request for an 

opportunity to make an oral 

presentation.36


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Federal Register / Vol. 88, No. 230 / Friday, December 1, 2023 / Notices 84023 

37 17 CFR 200.30–3(a)(57). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3For example, subscribers to the intraday product 

will receive the first calculation of intraday data by 

approximately 9:42 a.m. ET, which represents data 

captured from 9:30 a.m. to 9:40 a.m. Subscribers 

will receive the next update at 9:52 a.m., 

representing the data previously provided together 

with data captured from 9:40 a.m. through 9:50 

a.m., and so forth. Each update will represent the 

aggregate data captured from the current 

‘‘snapshot’’ and all previous ‘‘snapshots.’’ 

Interested persons are invited to 

submit written data, views, and 

arguments regarding whether the 

proposed rule change should be 

approved or disapproved by December 

22, 2023. Any person who wishes to file 

a rebuttal to any other person’s 

submission must file that rebuttal by 

January 5, 2024. 

Comments may be submitted by any 

of the following methods: 

Electronic Comments 

• Use the Commission’s internet 

comment form (https://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include file number SR– 

NYSEARCA–2023–58 on the subject 

line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549–1090. 

All submissions should refer to file 

number SR–NYSEARCA–2023–58. This 

file number should be included on the 

subject line if email is used. To help the 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

internet website (https://www.sec.gov/ 

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

provisions of 5 U.S.C. 552, will be 

available for website viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street NE, 

Washington, DC 20549, on official 

business days between the hours of 10 

a.m. and 3 p.m. Copies of the filing also 

will be available for inspection and 

copying at the principal office of the 

Exchange. Do not include personal 

identifiable information in submissions; 

you should submit only information 

that you wish to make available 

publicly. We may redact in part or 

withhold entirely from publication 

submitted material that is obscene or 

subject to copyright protection. All 

submissions should refer to file number 

SR–NYSEARCA–2023–58 and should be 

submitted on or before December 22, 

2023. Rebuttal comments should be 

submitted by January 5, 2024. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.37

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2023–26500 Filed 11–30–23; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–99026; File No. SR– 

CboeEDGX–2023–070] 

Self-Regulatory Organizations; Cboe 

EDGX Exchange, Inc.; Notice of Filing 

and Immediate Effectiveness of a 

Proposed Rule Change To Amend Its 

Fee Schedule 

November 28, 2023. 

Pursuant to section 19(b)(1) of the 

Securities Exchange Act of 1934 (the 

‘‘Act’’),1 and Rule 19b–4 thereunder,2

notice is hereby given that on November 

15, 2023, Cboe EDGX Exchange, Inc. 

(the ‘‘Exchange’’ or ‘‘EDGX’’) filed with 

the Securities and Exchange 

Commission (the ‘‘Commission’’) the 

proposed rule change as described in 

Items I, II, and III below, which Items 

have been prepared by the Exchange. 

The Commission is publishing this 

notice to solicit comments on the 

proposed rule change from interested 

persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

Cboe EDGX Exchange, Inc. (the 

‘‘Exchange’’ or ‘‘EDGX’’) proposes to 

amend its Fee Schedule. The text of the 

proposed rule change is provided in 

Exhibit 5. 

The text of the proposed rule change 

is also available on the Exchange’s 

website (http://markets.cboe.com/us/ 

options/regulation/rule_filings/edgx/), 

at the Exchange’s Office of the 

Secretary, and at the Commission’s 

Public Reference Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

Exchange included statements 

concerning the purpose of and basis for 

the proposed rule change and discussed 

any comments it received on the 

proposed rule change. The text of these 

statements may be examined at the 

places specified in Item IV below. The 

Exchange has prepared summaries, set 

forth in sections A, B, and C below, of 

the most significant aspects of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to update its 

Fee Schedule to provide a 20% discount 

on fees assessed to Exchange Members 

and non-Members that purchase 

$20,000 or more of historical OpenClose Data, effective November 15, 2023 

through December 31, 2023. 

By way of background, the Exchange 

currently offers End-of-Day (‘‘EOD’’) and 

Intraday Open-Close Data (collectively, 

‘‘Open-Close Data’’). EOD Open-Close 

Data is an end-of-day volume summary 

of trading activity on the Exchange at 

the option level by origin (customer, 

professional customer, broker-dealer, 

and market maker), side of the market 

(buy or sell), price, and transaction type 

(opening or closing). The customer and 

professional customer volume is further 

broken down into trade size buckets 

(less than 100 contracts, 100–199 

contracts, greater than 199 contracts). 

The EOD Open-Close Data is proprietary 

Exchange trade data and does not 

include trade data from any other 

exchange. It is also a historical data 

product and not a real-time data feed. 

The Exchange also offers Intraday OpenClose Data, which provides similar 

information to that of EOD Open-Close 

Data but is produced and updated every 

10 minutes during the trading day. Data 

is captured in ‘‘snapshots’’ taken every 

10 minutes throughout the trading day 

and is available to subscribers within 

five minutes of the conclusion of each 

10-minute period.3 The Intraday OpenClose Data provides a volume summary 

of trading activity on the Exchange at 

the option level by origin (customer, 

professional customer, broker-dealer, 

and market maker), side of the market 

(buy or sell), and transaction type 

(opening or closing). The customer and 

professional customer volume are 

further broken down into trade size 

buckets (less than 100 contracts, 100– 

199 contracts, greater than 199 

contracts). The Intraday Open-Close 


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